Our furnace, only 16 years old, is having troubles keeping the pilot light going. My wife saw it got blown out when the burners were starting up, but I am worried it might be a blow back issue. Is it relatively expensive to get the thermo couple on the pilot light changed out? It is an important thing to figure out being this the beginning of a frigid Canadian Winter.

Post what make and model for better help, but to answer your question it's not hard or expensive to replace thermocoupling.

You can view the job here (https://www.youtube.com/watch?v=UNd2TAddg78), and see if its something you want to get into yourself, if indeed that's the problem. Or review the eHow (http://www.ehow.com/how_7600620_troubleshoot-light-wont-stay-lit.html) sites and see what you will need before hand, and that may help you decide the best direction to go in.

From what I have seen it was a blow back problem. I had forgotten to change the filter on the furnace, for a LOT longer then I should have, and because it was so clogged there was enough air being redirected back to blow out the pilot. Something like that, I have the filter half out of there and am getting a new one soon. The pilot hasn't gone off since. It is a 17yo carrier natural gas furnace, I haven't gotten a model number on it. It was mass produced and mass used in our subdivision.